You can only destroy structures/units that you no longer want, you can always feed your enemy said units as well. To destroy buildings/units yourself you have to select structures or units that are able to attack then press the "A" key to issue a force attack order. If you hold down shift you only have to press the "A" key once and you can select all the structures/units you want to destroy.

Destroy in this context means to issue an attack order from your structures/units that are able to deal damage against units/structures you no longer need. Keep in mind you can salvage a Terran Bunker, the only structure you can get a refund from after it is built.